Basel Committee on Banking Supervision recently issued a second consultative paper on the Fundamental Review of the Trading Book (FRTB). The paper comprises a detailed set of proposals for a comprehensive revision of the market risk framework. We are required to undertake the actual portfolio Quantitative Impact Study (QIS), which aims to estimate the firm's market risk capital under the revised FRTB framework.  - Analyze the Internal Model approach Expected Shortfall impacts under FRTB across all businesses within us using in-house systems and Excel spreadsheets  - Analyze the multiple criteria through quantitative and qualitative features of the trading desks to be able to eligible to use Internal Model approach to capitalize their trading activities, across the businesses globally  - An opportunity to stay at the forefront of changing market risk regulation, by assessing the risk model's market data quality under the new FRTB rules  - Analyze impact on VaR from methodology changes under new FRTB rules   - Analyze the Market Risk capital impacts under FRTB across all businesses.   - Assisting in compiling presentations for senior management of the model framework  - Liaising with London team lead on the analysis tasks  - Performing analysis to respond to questions from risk managers, senior management and regulators  - Identify areas of system development and enhancements.  - Develop subject matter expertise and proactively engage various stakeholders in identifying the issues relating to market data.  Candidate Profile:  - Product control background will be a fit, strong knowledge on Greeks, MBA with CFA / FRM / PRM is mandatory. VBA skillset preferable.  - 1-2 years’ experience in Market Risk experience  - Experience with VaR model essential and product knowledge advantageous  - Understanding of different asset classes, risk types and market data set  - Being strongly analytical and with great attention to details  - Strong MS Excel skills, VBA experience advantageous  - Team player as well as capable of doing self-led analysis  - Confident in communication and presenting analysis verbally and in Powerpoint slides  - Capable of working towards tight deadline in a pressurised environment  - Good quantitative background, e.g. science, engineering, MBA etc  - Financial qualification preferred (CFA, FRM etc)

Mumbai

Scenario Risk Analyst 

Scenario Risk Analyst  ,Job Description for Scenario Risk Analyst  in Antal International Network in  Mumbai for (1-2) years of experience. Apply Now!

Job Description for Scenario Risk Analyst  in Antal International Network in  Mumbai for (1-2) years of experience. Apply Now!